Copy DLL files from:

C:/Program Files/NVIDIA GPU Computing Toolkit/CUDA/v5.0/bin

The JCUDA libraries needs to be placed in :

C:/<user>/Documents/Processing/libraries/jcuda/library

Rename all the JAR files so that only a name is visible. You have to remove the version numbers and the minus char. For example, "jcuda.jar"

The JCUDA documention needs to be extracted to :

"C:/<user>/Documents/Processing/libraries/jcuda/documentation"

Install the CUDA Toolkit;